Actually, in my case it's
installed on my hard drive (SplashTop, which ExpressGate is based on, might work differently and might use USB). I recall looking at some docs, and they also mentioned ExpressGate SSD. One of the not often mentioned features is that it has a built-in photo browser -- it looks for photos in your Windows My Document folders. I've never really used it for that though, because there's a resolution cap that's not really well suited for widescreen displays. It also lets your browse any discs inside your optical drives (haven't found a use for this either yet).
I also don't think it does any loading of Windows in the background -- when you're finished using ExpressGate and decide that you want to enter Windows, it just does the same boot process as it would normally do (show the ASUS blue screen ---> Windows caterpillar loading --> Enter Windows). It's not any faster.